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Oil volatility uncertainty : impact on fundamental macroeconomics and the stock index
Aladwani, Jassim - In: Economies : open access journal 12 (2024) 6, pp. 1-23
This study utilized both single-regime GARCH and double-regime GARCH models to investigate oil price volatility … volatility on these factors was examined. The empirical results confirmed the presence of the leverage effect and identified … multiple volatility switches associated with remarkable events like the GFC, the European debt crisis, the COVID-19 pandemic …
Persistent link: https://www.econbiz.de/10014636061
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Refining the workhorse oil market model
Zhou, Xiaoqing - 2019
The Kilian and Murphy (2014) structural vector autoregressive model has become the workhorse model for the analysis of oil markets. I explore various refinements and extensions of this model, including the effects of (1) correcting an error in the measure of global real economic activity, (2)...
Persistent link: https://www.econbiz.de/10012230336
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Monopoly Power in the Oil Market and the Macroeconomy
Branger, Nicole; Flacke, René Marian; Gräber, Nikolai - 2019
This paper studies macroeconomic consequences of oil price shocks caused by innovations in the monopoly power in the oil market. Monopoly power is interpreted as oil producers' ability to charge a markup over marginal costs. We propose a novel way to identify markup shocks based on meetings of...
Persistent link: https://www.econbiz.de/10014118702
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The Asymmetric Impact of Oil Prices, Interest Rates and Oil Price Uncertainty on Unemployment in US
Kocaarslan, Barış - 2019
significant. Last but not least, we find that option-implied oil price volatility, as a measure of oil price uncertainty …, outperforms the conditional volatility of crude oil prices in predicting unemployment. This study provides valuable implications …
Persistent link: https://www.econbiz.de/10012860192
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A General Equilibrium Model of the Oil Market
Nakov, Anton; Nuño, Galo - 2011
We present a general equilibrium model of the global oil market, in which the oil price, oil production, and consumption, are jointly determined as outcomes of the optimizing decisions of oil importers and oil exporters. On the supply side the oil market is modelled as a dominant firm – Saudi...
Persistent link: https://www.econbiz.de/10014176832
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Oil Prices in a Real-Business-Cycle Model with Precautionary Demand for Oil
Olovsson, Conny - 2017
/smoothing demand, but supply shocks contribute substantially to both the oil-price volatility and the magnitude of oil shocks mainly …
Persistent link: https://www.econbiz.de/10012963406
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Oil prices and the US economy : where is the boom?
Arora, Vipin - 2015
The author argues that the economic benefits of low gasoline prices for the U.S. economy have fallen substantially since the reemergence of America as a major oil producer. The old rule-ofthumb that a 10% fall in the oil price raises inflation-adjusted U.S. GDP by 0.2% is too large - the impact...
Persistent link: https://www.econbiz.de/10011289074
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Oil prices in a real-business-cycle model with precautionary demand for oil
Olovsson, Conny - 2016
/smoothing demand, but supply shocks contribute substantially to both the oil-price volatility and the magnitude of oil shocks mainly …
Persistent link: https://www.econbiz.de/10011568489
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Oil Price, Overleveraging and Shakeout in the Shale Energy Sector -- Game Changers in the Oil Industry
Gevorkyan, Arkady - 2015
In recent years, we have observed significant growth in unconventional energy, shale energy, in particular in the United States. There was a boom, followed by a bust. The plunge in oil price triggered a prolonged bust in the energy sector. Which firms will benefit, and which will be squeezed out...
Persistent link: https://www.econbiz.de/10013013795
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The Econometrics of Oil Market VAR Models
Kilian, Lutz - 2020
Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...
Persistent link: https://www.econbiz.de/10012839764